The study of immunology, traditionally reliant on proteomics to evaluate individual immune cells, has been revolutionized by single-cell RNA sequencing. Computational immunologists play a crucial role in analysing these datasets, moving beyond traditional protein marker identification to encompass a more detailed view of cellular phenotypes and their functional roles. Recent technological advancements allow the simultaneous measurements of multiple cellular components-transcriptome, proteome, chromatin, epigenetic modifications and metabolites-within single cells, including in spatial contexts within tissues. This has led to the generation of complex multiscale datasets that can include multimodal measurements from the same cells or a mix of paired and unpaired modalities. Modern machine learning (ML) techniques allow for the integration of multiple "omics" data without the need for extensive independent modelling of each modality. This review focuses on recent advancements in ML integrative approaches applied to immunological studies. We highlight the importance of these methods in creating a unified representation of multiscale data collections, particularly for single-cell and spatial profiling technologies. Finally, we discuss the challenges of these holistic approaches and how they will be instrumental in the development of a common coordinate framework for multiscale studies, thereby accelerating research and enabling discoveries in the computational immunology field.